基于最优控制理论的银行贷款动态定价研究

Based on Optimal Control Theory of Commercial Bank Dynamic Pricing when the Condition of Interest Rate Marketization

商业银行贷款定价问题得到了广泛的研究,但不足之处是只考虑了商业银行的短期最优定价行为。本文针对信贷市场的动态性和商业银行的长期最优贷款定价行为,应用最优控制理论对商业银行的长期最优贷款定价问题进行了研究。通过将银行贷款定价的长期最优化决策描述成一个标准的最优控制问题,并采用Matlab11.0对上述最优控制问题进行求解和数值模拟。研究结果表明,在利率市场化条件下,信贷市场不仅会存在"道德风险"和"逆向选择",而且银行之间的贷款定价不存在纳什均衡。

Although commercial bank loan pricing issue has been studied extensively, the shortcomings are considered on only the short-term optimal pricing of commercial banks. In this paper the credit market of the dynamic and commercial bank's long-term optimal loan pricing behavior, the application of optimal control theory to the commercial bank loan pricing issue of optimal. we will study at a bank loan of optimized nesting decisions represented as a standard of control, and adopt Matlab11.0 on the optimal control problem is solved and the numerical simulation. Research shows that the rate of commercialization, the credit market can not exist'Moral Hazard'and 'Adverse Selection', furthermore the pricing of the loan is not a Nash equilibrium.